Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise

We give sufficient conditions for existence, uniqueness and ergodicity of invariant measures for Musiela's stochastic partial differential equation with deterministic volatility and a Hilbert space valued driving Lévy noise. Conditions for the absence of arbitrage and for the existence of mild solutions are also discussed.

Point-occurrence self-similarity in crackling-noise systems and in other complex systems

It has been recently found that a number of systems displaying crackling noise also show a remarkable behavior regarding the temporal occurrence of successive events versus their size: a scaling law for the probability distributions of waiting times as a function of a minimum size is fulfilled, signaling the existence on those systems of self-similarity in time-size. This property is also present in some non-crackling systems. Here, the uncommon character of the scaling law is illustrated with simple marked renewal processes, built by definition with no correlations. Whereas processes with a finite mean waiting time do not fulfill a scaling law in general and tend towards a Poisson process in the limit of very high sizes, processes without a finite mean tend to another class of distributions, characterized by double power-law waiting-time densities. This is somehow reminiscent of the generalized central limit theorem. A model with short-range correlations is not able to escape from the attraction of those limit distributions. A discussion on open problems in the modeling of these properties is provided.

Pathology and immune response of the blue mussel (Mytilus edulis L.) after an exposure to the harmful dinoflagellate Prorocentrum minimum

The harmful dinoflagellate Prorocentrum minimum has different effects upon various species of grazing bivalves, and these effects also vary with life-history stage. Possible effects of this dinoflagellate upon mussels have not been reported; therefore, experiments exposing adult blue mussels, Mytilus edulis, to P. minimum were conducted. Mussels were exposed to cultures of toxic P. minimum or benign Rhodomonas sp. in glass aquaria. After a short period of acclimation, samples were collected on day 0 (before the exposure) and after 3, 6, and 9 days of continuous-exposure experiment. Hemolymph was extracted for flow-cytometric analyses of hemocyte, immune-response functions, and soft tissues were excised for histopathology. Mussels responded to P. minimum exposure with diapedesis of hemocytes into the intestine, presumably to isolate P. minimum cells within the gut, thereby minimizing damage to other tissues. This immune response appeared to have been sustained throughout the 9-day exposure period, as circulating hemocytes retained hematological and functional properties. Bacteria proliferated in the intestines of the P. minimum-exposed mussels. Hemocytes within the intestine appeared to be either overwhelmed by the large number of bacteria or fully occupied in the encapsulating response to P. minimum cells; when hemocytes reached the intestine lumina, they underwent apoptosis and bacterial degradation. This experiment demonstrated that M. edulis is affected by ingestion of toxic P. minimum; however, the specific responses observed in the blue mussel differed from those reported for other bivalve species. This finding highlights the need to study effects of HABs on different bivalve species, rather than inferring that results from one species reflect the exposure responses of all bivalves.

Experimental exposure of the blue mussel (Mytilus edulis, L.) to the toxic dinoflagellate Alexandrium fundyense: Histopathology, immune responses, and recovery

Mussels (Mytilus edulis) were exposed to cultures of the toxic dinoflagellate Alexandrium fundyense or the non-toxic alga Rhodomonas sp. to evaluate the effects of the harmful alga on the mussels and to study recovery after discontinuation of the A. fundyense exposure. Mussels were exposed for 9 days to the different algae and then all were fed Rhodomonas sp. for 6 more days. Samples of hemolymph for hemocyte analyses and tissues for histology were collected before the exposure and periodically during exposure and recovery periods. Mussels filtered and ingested both microalgal cultures, producing fecal pellets containing degraded, partially degraded, and intact cells of both algae. Mussels exposed to A. fundyense had an inflammatory response consisting of degranulation and diapedesis of hemocytes into the alimentary canal and, as the exposure continued, hemocyte migration into the connective tissue between the gonadal follicles. Evidence of lipid peroxidation, similar to the detoxification pathway described for various xenobiotics, was found; insoluble lipofuchsin granules formed (ceroidosis), and hemocytes carried the granules to the alimentary canal, thus eliminating putative dinoflagellate toxins in feces. As the number of circulating hemocytes in A. fundyense-exposed mussels became depleted, mussels were immunocompromised, and pathological changes followed, i.e., increased prevalences of ceroidosis and trematodes after 9 days of exposure. Moreover, the total number of pathological changes increased from the beginning of the exposure until the last day (day 9). After 6 days of the exposure, mussels in one of the three tanks exposed to A. fundyense mass spawned; these mussels showed more severe effects of the toxic algae than non-spawning mussels exposed to A. fundyense. No significant differences were found between the two treatments during the recovery period, indicating rapid homeostatic processes in tissues and circulating hemocytes.

Creació automàtica de gràfics estadístics a partir de dades de soroll d’Europa amb tecnologies Open Source en el visor Noise Map Viewer de l’ETC-LUSI

El projecte ha consistit en la creació de gràfics estadístics de soroll d’Europa de forma automàtica amb tecnologies Open Source dins el visor Noise Map Viewer per Europa de l’ETC-LUSI. La llibreria utilitzada per fer aquest procés ha estat JFreeChart i el llenguatge de programació utilitzat ha estat Java (programació orientada a objectes) dins l’entorn de desenvolupament integrat Eclipse. La base de dades utilitzada ha estat PostgreSQL. Com a servidors s’han fet servir Apache (servidor HTTP) i Tomcat (servidor contenidor d’aplicacions). Un cop acabat el procés s’ha integrat dins de MapFish canviant el codi JavaScript corresponent de la web original.

A Folk Theorem for Games when Frequent Monitoring Decreases Noise

This paper studies frequent monitoring in an infinitely repeated game with imperfect public information and discounting, where players observe the state of a continuous time Brownian process at moments in time of length _. It shows that a limit folk theorem can be achieved with imperfect public monitoring when players monitor each other at the highest frequency, i.e., _. The approach assumes that the expected joint output depends exclusively on the action profile simultaneously and privately decided by the players at the beginning of each period of the game, but not on _. The strong decreasing effect on the expected immediate gains from deviation when the interval between actions shrinks, and the associated increase precision of the public signals, make the result possible in the limit. JEL: C72/73, D82, L20. KEYWORDS: Repeated Games, Frequent Monitoring, Public Monitoring, Brownian Motion.

Media exposure and internal migration-evidence from Indonesia

This paper investigates the impact of television on internal migration in Indonesia. We exploit the differential introduction of private television throughout the country and the variation in signal reception due to topography to estimate the causal effect of media exposure. Our estimates reveal important long and short run effects. An increase of one standard deviation in the number of private TV channels received in the area of residence reduces future inter-provincial migration by 1.7-2.7 percentage points, and all migration (inter and intra-provincial) by 4-7.4 percentage points. Short run effects are slightly smaller, but still sizeable and statistically significant. We also show that respondents less exposed to private TV are more likely to consider themselves among the poorest groups of the society. As we discuss in a stylized model of migration choice under imperfect information, these findings are consistent with Indonesia citizens over-estimating the net gains from internal migration.

Association between GIS-based exposure to urban air pollution during pregnancy and birth weight in the INMA Sabadell Cohort

Background: There is growing evidence that traffic-related air pollution reduces birth weight. Improving exposure assessment is a key issue to advance in this research area.Objective: We investigated the effect of prenatal exposure to traffic-related air pollution via geographic information system (GIS) models on birth weight in 570 newborns from the INMA (Environment and Childhood) Sabadell cohort.Methods: We estimated pregnancy and trimester-specific exposures to nitrogen dioxide and aromatic hydrocarbons [benzene, toluene, ethylbenzene, m/p-xylene, and o-xylene (BTEX)] by using temporally adjusted land-use regression (LUR) models. We built models for NO2 and BTEX using four and three 1-week measurement campaigns, respectively, at 57 locations. We assessed the relationship between prenatal air pollution exposure and birth weight with linear regression models. We performed sensitivity analyses considering time spent at home and time spent in nonresidential outdoor environments during pregnancy.Results: In the overall cohort, neither NO2 nor BTEX exposure was significantly associated with birth weight in any of the exposure periods. When considering only women who spent < 2 hr/day in nonresidential outdoor environments, the estimated reductions in birth weight associated with an interquartile range increase in BTEX exposure levels were 77 g [95% confidence interval (CI), 7–146 g] and 102 g (95% CI, 28–176 g) for exposures during the whole pregnancy and the second trimester, respectively. The effects of NO2 exposure were less clear in this subset.Conclusions: The association of BTEX with reduced birth weight underscores the negative role of vehicle exhaust pollutants in reproductive health. Time–activity patterns during pregnancy complement GIS-based models in exposure assessment.

Prenatal exposure to traffic-related air pollution and ultrasound measures of fetal growth in the INMA Sabadell cohort

Background: Few studies have used longitudinal ultrasound measurements to assess the effect of traffic-related air pollution on fetal growth.Objective: We examined the relationship between exposure to nitrogen dioxide (NO2) and aromatic hydrocarbons [benzene, toluene, ethylbenzene, m/p-xylene, and o-xylene (BTEX)] on fetal growth assessed by 1,692 ultrasound measurements among 562 pregnant women from the Sabadell cohort of the Spanish INMA (Environment and Childhood) study.Methods: We used temporally adjusted land-use regression models to estimate exposures to NO2 and BTEX. We fitted mixed-effects models to estimate longitudinal growth curves for femur length (FL), head circumference (HC), abdominal circumference (AC), biparietal diameter (BPD), and estimated fetal weight (EFW). Unconditional and conditional SD scores were calculated at 12, 20, and 32 weeks of gestation. Sensitivity analyses were performed considering time–activity patterns during pregnancy.Results: Exposure to BTEX from early pregnancy was negatively associated with growth in BPD during weeks 20–32. None of the other fetal growth parameters were associated with exposure to air pollution during pregnancy. When considering only women who spent 2 hr/day in nonresidential outdoor locations, effect estimates were stronger and statistically significant for the association between NO2 and growth in HC during weeks 12–20 and growth in AC, BPD, and EFW during weeks 20–32.Conclusions: Our results lend some support to an effect of exposure to traffic-related air pollutants from early pregnancy on fetal growth during mid-pregnancy.

A longitudinal study of environmental tobacco smoke exposure in children: parental self reports versus age dependent biomarkers

Background: Awareness of the negative effects of smoking on children's health prompted a decrease in the self-reporting of parental tobacco use in periodic surveys from most industrialized countries. Our aim is to assess changes between ETS exposure at the end of pregnancy and at 4 years of age determined by the parents' self-report and measurement of cotinine in age related biological matrices.Methods: The prospective birth cohort included 487 infants from Barcelona city (Spain). Mothers were asked about maternal and household smoking habit. Cord serum and children's urinary cotinine were analyzed in duplicate using a double antibody radioimmunoassay. Results: At 4 years of age, the median urinary cotinine level in children increased 1.4 or 3.5 times when father or mother smoked, respectively. Cotinine levels in children's urine statistically differentiated children from smoking mothers (Geometric Mean (GM) 19.7 ng/ml; 95% CI 16.83–23.01) and exposed homes (GM 7.1 ng/ml; 95% CI 5.61–8.99) compared with non-exposed homes (GM 4.5 ng/ml; 95% CI 3.71–5.48). Maternal self-reported ETS exposure in homes declined in the four year span between the two time periods from 42.2% to 31.0% (p < 0.01). Nevertheless, most of the children considered non-exposed by their mothers had detectable levels of cotinine above 1 ng/mL in their urine.Conclusion: We concluded that cotinine levels determined in cord blood and urine, respectively, were useful for categorizing the children exposed to smoking and showed that a certain increase in ETS exposure during the 4-year follow-up period occurred.

Noise and aggregation of information in large markets

We study a novel class of noisy rational expectations equilibria in markets with largenumber of agents. We show that, as long as noise increases with the number of agents inthe economy, the limiting competitive equilibrium is well-defined and leads to non-trivialinformation acquisition, perfect information aggregation, and partially revealing prices,even if per capita noise tends to zero. We find that in such equilibrium risk sharing and price revelation play dierent roles than in the standard limiting economy in which per capita noise is not negligible. We apply our model to study information sales by a monopolist, information acquisition in multi-asset markets, and derivatives trading. Thelimiting equilibria are shown to be perfectly competitive, even when a strategic solutionconcept is used.

Bayesian image reconstruction with space-variant noise suppression

In this paper we present a Bayesian image reconstruction algorithm with entropy prior (FMAPE) that uses a space-variant hyperparameter. The spatial variation of the hyperparameter allows different degrees of resolution in areas of different statistical characteristics, thus avoiding the large residuals resulting from algorithms that use a constant hyperparameter. In the first implementation of the algorithm, we begin by segmenting a Maximum Likelihood Estimator (MLE) reconstruction. The segmentation method is based on using a wavelet decomposition and a self-organizing neural network. The result is a predetermined number of extended regions plus a small region for each star or bright object. To assign a different value of the hyperparameter to each extended region and star, we use either feasibility tests or cross-validation methods. Once the set of hyperparameters is obtained, we carried out the final Bayesian reconstruction, leading to a reconstruction with decreased bias and excellent visual characteristics. The method has been applied to data from the non-refurbished Hubble Space Telescope. The method can be also applied to ground-based images.

Shot-noise suppression in Schottky barrier diodes

We give a theoretical interpretation of the noise properties of Schottky barrier diodes based on the role played by the long range Coulomb interaction. We show that at low bias Schottky diodes display shot noise because the presence of the depletion layer makes the effects of the Coulomb interaction negligible on the current fluctuations. When the device passes from barrier to flat band conditions, the Coulomb interaction becomes active, thus introducing correlation between different current fluctuations. Therefore, the crossover between shot and thermal noise represents the suppression due to long range Coulomb interaction of the otherwise full shot noise. Similar ideas can be used to interpret the noise properties of other semiconductor devices.

Unipolar transport and shot noise in metal-semiconductor-metal structures

We carry out a self-consistent analytical theory of unipolar current and noise properties of metal-semiconductor-metal structures made of highly resistive semiconductors in the presence of an applied bias of arbitrary strength. By including the effects of the diffusion current we succeed in studying the whole range of carrier injection conditions going from low level injection, where the structure behaves as a linear resistor, to high level injection, where the structure behaves as a space charge limited diode. We show that these structures display shot noise at the highest voltages. Remarkably the crossover from Nyquist noise to shot noise exhibits a complicated behavior with increasing current where an initial square root dependence (double thermal noise) is followed by a cubic power law.